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Cournot fire sales
Eisenbach, Thomas M.; Phelan, Gregory - 2018
illiquid assets or underprovision of liquidity. We investigate whether imperfect competition (Cournot) improves welfare through … internalizing the externality and find that this is far from guaranteed. In a standard model of liquidity shocks, when liquidity is … sufficiently scarce, Cournot competition leads to even less liquidity than the Walrasian equilibrium. In a standard model of …
Persistent link: https://www.econbiz.de/10011806238
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Credit risk transfer and de facto GSE reform
Finkelstein, David L.; Strzodka, Andreas; Vickery, James - 2018
disrupting the liquidity or stability of mortgage secondary markets. In the process, the programs have created a new financial … market for pricing and trading mortgage credit risk, which has grown in size and liquidity over time. The CRT programs …
Persistent link: https://www.econbiz.de/10011806244
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Cournot fire sales
Eisenbach, Thomas M.; Phelan, Gregory - 2018
Persistent link: https://www.econbiz.de/10011891520
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Cournot fire sales
Eisenbach, Thomas M.; Phelan, Gregory - 2020
Persistent link: https://www.econbiz.de/10012390902
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Banking reform
Jackson, Patricia; Davies, Howard; Miles, David; … - SUERF Conference on Banking Reform <2015, London>; … - 2016
On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...
Persistent link: https://www.econbiz.de/10011554963
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Corporate distress and supervisory blacklisting : the Italian case
Gori, Leonella; Anconetani, Rachele - 2020
The paper focuses on two control instruments created by the Italian Companies and Exchange Commission (CONSOB), the Blacklist and the Grey-list, to monitor the going-concern perspectives of listed Italian companies in distress situations. The study analyzes the determinants underlying the...
Persistent link: https://www.econbiz.de/10012210804
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On the measurement of large financial firm resolvability
Jarque, Arantxa; Walter, John R.; Evert, Jackson - 2018
Persistent link: https://www.econbiz.de/10011821816
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An overview of the UK banking sector since the Basel Accord : insights from a new regulatory database
De-Ramon, Sebastian J. A.; Francis, William B.; … - 2017
Persistent link: https://www.econbiz.de/10011629906
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Evaluating VaR forecasts under stress the German experience
Jaschke, Stefan R.; Stahl, Gerhard; Stehle, Richard - 2003
We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory purposes in the year 2001. To this end, we introduce the notion of well-behaved forecast systems. Furthermore, we provide a series of statistical tools to perform our analyses....
Persistent link: https://www.econbiz.de/10009764769